Alternative procedures for estimating vector autoregressions identified with long-run restrictions
By: Lawrence J. Christiano, Martin Eichenbaum, Robert J. Vigfusson.
Contributors: Eichenbaum, Martin S.; Vigfusson, Robert J.; Board of Governors of the Federal Reserve System (U.S.)
Series: International finance discussion papers ;; no. 842; International finance discussion papers (Online) ;; no. 842.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "We show that the standard procedure for estimating long-run identified vector autoregressions uses a particular estimator of the zero-frequency spectral density matrix of the data.  We develop alternatives to the standard procedure and evaluate the properties of these alternative procedures using Monte Carlo experiments in which data are generated from estimated real business cycle models.  We focus on the properties of estimated impulse response functions.  In our examples, the alternative procedures have better small sample properties than the standard procedure, with smaller bias, smaller mean square error and better coverage rates for estimated confidence intervals"--Federal Reserve Board web site.
Notes: Includes bibliographical references.
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